There are clear differences with the attack on the baht. Thailand, faced with massive speculative bets that the baht would fall, nearly depleted its foreign exchange reserves trying to support its currency. AAA-rated Denmark, however, is trying to weaken, not strengthen, the krone, meaning it will be printing money and amassing foreign reserves.
Of course, just because there's a speculative attack on a currency doesn't mean it will succeed.
Denmark's policy makers certainly aren't rolling over for the market.
"We have an unlimited supply of our own currency, the kroner. And we are going to do whatever it takes to defend the peg," Lars Rohde, Denmark's central bank governor, told CNBC.
His comment echoes a seminal moment in the euro zone crisis, when European Central Bank (ECB) President Mario Draghi said in 2012 that the bank stood ready to do "whatever it takes" to preserve the European monetary union, a declaration that drew a line under the region's credit crisis and bolstered market sentiment.
On Thursday, Denmark's central bank cut its benchmark interest rate deeper into negative territory -- to negative 0.75 percent, matching the Swiss National Bank (SNB). It's the Nationalbanken's fourth interest rate cut in a bit less than a month. That followed Copenhagen's unusual step of canceling the country's bond sales for the year to stem further inflows; the country's financing needs for 2015 have already been met.
Rohde was very clear on the message he wants to send to the market: "Stay away," he said. "We simply will make it unattractive to invest in Danish kroner-denominated assets." The yield on Denmark's 10-year government bond is trading at a yield of around 0.24 percent, the second-lowest in the world after Switzerland's negative 0.10 percent.
Read MoreWhy Denmark won't 'pull a Switzerland'
"The reason why Switzerland and Denmark are both behaving aggressively against the euro is because traders in Europe are putting a lot of pressure on it, arguably to test policy makers' resolve to come to a resolution on Greece and some of the fault lines in Europe around risk-sharing," Rebecca Harding, CEO at Delta Economics, said via email Thursday, before the Nationalbanken's latest rate cut.
"Defending the peg is an expensive policy and the Danish Central Bank has had to build up considerable reserves to do this," she said. "The key question is whether or not, even by suspending sales of government debt, it can afford to continue to do this. The jury is out on that."
In January, Denmark's foreign-exchange reserves climbed to a record high 564.1 billion kroner after foreign-exchange intervention of more than 106 billion kroner in the month. That compares with a 40 billion kroner increase in reserves in November 2008 during the Global Financial Crisis and a 20 billion kroner rise during the worst of the 2012 Greek crisis, Bofa's Sharma said in a note Tuesday, calling the latest increase "staggering."